Research On The Impact Of Macroeconomic Factors On Stock Market Volatility Based On The GARCH-MIDAS Model

As a link between financial economy and real economy,financial market has become more and more important in economic operation with the deepening of economic globalization and liberalization.Therefore,this paper first establishes GARCH family models for stock market return series and observes stock market volatility as a whole.As a commonly used method to study stock market volatility,this kind of model can directly reflect the characteristics of stock market return volatility by concretely formulating abstract data into equation form.It can analyze the impact degree of external information on stock market return.It is concluded that "bad news has a great impact on stock market prices.Secondly,based on the above research on volatility and the existing stock market price data,the data of different frequencies of gross domestic product(GDP),consumer price index(CPI)and money supply(M1)are selected.The short-term component of volatility is characterized by traditional GARCH process and the long-term component is characterized by MIDAS process.This is the advantage of GARCH-MIDAS model.The short-term part is described by the traditional GARCH process.Empirical analysis is carried out from two perspectives:horizontal value of macroeconomic variables(horizontal effect)and volatility of macroeconomic variables(volatility effect).The results show that the fluctuation effect is greater than the horizontal effect.That is to say,the fluctuation of macroeconomic variables has greater impact on stock market than on macroeconomic level.GARCH-MIDAS model not only retains the validity of macroeconomic variables data to the greatest extent,but also makes the estimation results more convincing,and can get the impact of specific macroeconomic factors on the stock market.The last chapter summarizes the conclusions of this paper,and according to China's national conditions.,this paper puts forward relevant policy suggestions from the aspects of monetary policy,inflation and financial supervision.